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Vstrizheus pretty much summed it up in one sentence. The claybar picks up any wax/buildup and contamination that a regular wash can't strip. It's part of the 'prep' before you apply any wax or polish... otherwise you'd be waxing over the dirt and just making the scrathes and swirls worse. It's a good thing to do once or twice a year.
It took me about 4hrs start to finish w/ a friend helping.. it doesnt take real long and usually you dont really need to do the entire car, but next month will be 2 yrs old for my car so thats why I gave it a full clay job. I went to disney for the weekend and just got back, ill post some full shots in a bit.